SimpleTrade戦略

using System;
using System.Linq;
using System.Collections.Generic;

using Ecng.Common;
using Ecng.Collections;
using Ecng.Serialization;

using StockSharp.Algo.Indicators;
using StockSharp.Algo.Strategies;
using StockSharp.BusinessEntities;
using StockSharp.Messages;

using StockSharp.Algo;

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Simple trade strategy converted from MetaTrader that compares the current open with the open three bars ago.
/// The logic holds positions for a single bar and protects the trade with a fixed stop distance.
/// </summary>
public class SimpleTradeStrategy : Strategy
{
	private readonly StrategyParam<int> _stopLossPips;
	private readonly StrategyParam<decimal> _tradeVolume;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _openCurrent;
	private decimal _openMinus1;
	private decimal _openMinus2;
	private decimal _openMinus3;
	private int _historyCount;
	private decimal? _stopPrice;

	/// <summary>
	/// Stop loss distance expressed in pips.
	/// </summary>
	public int StopLossPips
	{
		get => _stopLossPips.Value;
		set => _stopLossPips.Value = value;
	}

	/// <summary>
	/// Trade volume used for market orders.
	/// </summary>
	public decimal TradeVolume
	{
		get => _tradeVolume.Value;
		set => _tradeVolume.Value = value;
	}

	/// <summary>
	/// Candle type processed by the strategy.
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	/// <summary>
	/// Initialize <see cref="SimpleTradeStrategy"/> parameters.
	/// </summary>
	public SimpleTradeStrategy()
	{
		_stopLossPips = Param(nameof(StopLossPips), 120)
			.SetGreaterThanZero()
			.SetDisplay("Stop Loss (pips)", "Fixed protective distance in pips", "Risk Management")
			;

		_tradeVolume = Param(nameof(TradeVolume), 1m)
			.SetGreaterThanZero()
			.SetDisplay("Volume", "Order volume in lots", "General");

		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle Type", "Primary candle source for decisions", "General");
	}

	/// <inheritdoc />
	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
		=> [(Security, CandleType)];

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();

		_openCurrent = 0m;
		_openMinus1 = 0m;
		_openMinus2 = 0m;
		_openMinus3 = 0m;
		_historyCount = 0;
		_stopPrice = null;
	}

	/// <inheritdoc />
	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(ProcessCandle)
			.Start();
	}

	private void ProcessCandle(ICandleMessage candle)
	{
		if (candle.State != CandleStates.Finished)
			return;

		// Exit existing trades before evaluating new entries to mimic the original MQL behaviour.
		if (TryCloseExistingPosition(candle))
			return;

		UpdateHistory(candle.OpenPrice);

		// Need at least four opens to compare with the value three bars ago.
		if (_historyCount < 4)
			return;

		ExecuteEntry(candle);
	}

	private bool TryCloseExistingPosition(ICandleMessage candle)
	{
		if (Position > 0)
		{
			var volume = Position;

			// Close long trades at the protective stop or at the bar change.
			if (_stopPrice is decimal stop && candle.LowPrice <= stop)
			{
				SellMarket();
			}
			else
			{
				if (Position > 0) SellMarket(); else if (Position < 0) BuyMarket();
			}

			_stopPrice = null;
			return true;
		}

		if (Position < 0)
		{
			var volume = Math.Abs(Position);

			// Close short trades at the protective stop or at the bar change.
			if (_stopPrice is decimal stop && candle.HighPrice >= stop)
			{
				BuyMarket();
			}
			else
			{
				if (Position > 0) SellMarket(); else if (Position < 0) BuyMarket();
			}

			_stopPrice = null;
			return true;
		}

		return false;
	}

	private void UpdateHistory(decimal currentOpen)
	{
		// Shift the stored opens so that _openMinus3 keeps the value three candles back.
		_openMinus3 = _openMinus2;
		_openMinus2 = _openMinus1;
		_openMinus1 = _openCurrent;
		_openCurrent = currentOpen;

		if (_historyCount < 4)
			_historyCount++;
	}

	private void ExecuteEntry(ICandleMessage candle)
	{
		var pipSize = CalculatePipSize();
		var stopOffset = pipSize * StopLossPips;

		// Enter long when the current open is above the open three bars ago, otherwise enter short.
		if (_openCurrent > _openMinus3)
		{
			BuyMarket();
			_stopPrice = candle.OpenPrice - stopOffset;
		}
		else
		{
			SellMarket();
			_stopPrice = candle.OpenPrice + stopOffset;
		}
	}

	private decimal CalculatePipSize()
	{
		// Reproduce the MetaTrader adjustment: multiply by ten for symbols with 3 or 5 decimals.
		var step = Security?.PriceStep ?? 1m;
		var decimals = Security?.Decimals;

		if (decimals == 3 || decimals == 5)
			step *= 10m;

		return step;
	}
}

import clr

clr.AddReference("StockSharp.Messages")
clr.AddReference("StockSharp.Algo")
clr.AddReference("StockSharp.Algo.Indicators")
clr.AddReference("StockSharp.Algo.Strategies")

from System import TimeSpan
from StockSharp.Messages import DataType, CandleStates
from StockSharp.Algo.Strategies import Strategy
class simple_trade_strategy(Strategy):
    def __init__(self):
        super(simple_trade_strategy, self).__init__()
        self._sl_pips = self.Param("StopLossPips", 120)
        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromHours(4)))

    @property
    def CandleType(self): return self._candle_type.Value
    @CandleType.setter
    def CandleType(self, value): self._candle_type.Value = value

    def OnReseted(self):
        super(simple_trade_strategy, self).OnReseted()
        self._opens = []
        self._stop_price = None

    def OnStarted2(self, time):
        super(simple_trade_strategy, self).OnStarted2(time)
        self._opens = []
        self._stop_price = None
        self._pip_size = 1.0
        if self.Security is not None and self.Security.PriceStep is not None and self.Security.PriceStep > 0:
            self._pip_size = float(self.Security.PriceStep)

        sub = self.SubscribeCandles(self.CandleType)
        sub.Bind(self.OnProcess).Start()

    def OnProcess(self, candle):
        if candle.State != CandleStates.Finished:
            return

        # Close existing position first (hold only 1 bar)
        if self.Position > 0:
            if self._stop_price is not None and float(candle.LowPrice) <= self._stop_price:
                self.SellMarket()
            else:
                self.SellMarket()
            self._stop_price = None
            self._update_opens(float(candle.OpenPrice))
            return
        elif self.Position < 0:
            if self._stop_price is not None and float(candle.HighPrice) >= self._stop_price:
                self.BuyMarket()
            else:
                self.BuyMarket()
            self._stop_price = None
            self._update_opens(float(candle.OpenPrice))
            return

        self._update_opens(float(candle.OpenPrice))

        if len(self._opens) < 4:
            return

        open_current = self._opens[-1]
        open_minus3 = self._opens[-4]
        stop_offset = self._pip_size * self._sl_pips.Value

        if open_current > open_minus3:
            self.BuyMarket()
            self._stop_price = float(candle.OpenPrice) - stop_offset
        else:
            self.SellMarket()
            self._stop_price = float(candle.OpenPrice) + stop_offset

    def _update_opens(self, val):
        self._opens.append(val)
        if len(self._opens) > 5:
            self._opens.pop(0)

    def CreateClone(self):
        return simple_trade_strategy()